Related papers: Information Geometry of Risks and Returns
We study the geometrical properties of the utility space (the space of expected utilities over a finite set of options), which is commonly used to model the preferences of an agent in a situation of uncertainty. We focus on the case where…
Information geometry is an important tool to study statistical models. There are some important examples in statistical models which are regarded as warped products. In this paper, we study information geometry of warped products. We…
Information Geometry has been used to inspire efficient algorithms for stochastic optimization, both in the combinatorial and the continuous case. We give an overview of the authors' research program and some specific contributions to the…
We consider an investor who wants to select her/his optimal consumption, investment and insurance policies. Motivated by new insurance products, we allow not only the financial marke but also the insurable loss to depend on the regime of…
If a financial asset's price movement impacts a firm's product demand, the firm can respond to the impact by adjusting its operational decisions. For example, in the automotive industry, car makers decrease the selling prices of…
Reliable, risk-averse design of complex engineering systems with optimized performance requires dealing with uncertainties. A conventional approach is to add safety margins to a design that was obtained from deterministic optimization.…
Models of adaptive bet-hedging commonly adopt insights from Kelly's famous work on optimal gambling strategies and the financial value of information. In particular, such models seek evolutionary solutions that maximize long term average…
The paper introduces and studies hedging for game (Israeli) style extension of swing options considered as multiple exercise derivatives. Assuming that the underlying security can be traded without restrictions we derive a formula for…
We propose a pricing technique based on coherent risk measures, which enables one to get finer price intervals than in the No Good Deals pricing. The main idea consists in splitting a liability into several parts and selling these parts to…
In Electricity markets, illiquidity, transaction costs and market price characteristics prevent managers to replicate exactly contracts. A residual risk is always present and the hedging strategy depends on a risk criterion chosen. We…
Reversibility is a key issue in the interface between computation and physics, and of growing importance as miniaturization progresses towards its physical limits. Most foundational work on reversible computing to date has focussed on…
In this paper, we show that coherent sets of gambles can be embedded into the algebraic structure of information algebra. This leads firstly, to a new perspective of the algebraic and logical structure of desirability and secondly, it…
Efforts to apply economic complexity to identify diversification opportunities often rely on diagrams comparing the relatedness and complexity or products, technologies, or industries. Yer, the use of these diagrams is not based on…
A Hedge Fund Index is very useful for tracking the performance of hedge fund investments, especially the timing of fund redemption. This paper presents a methodology for constructing a hedge fund index that is more like a quantitative fund…
In the frictionless discrete time financial market of Bouchard et al.(2015) we consider a trader who, due to regulatory requirements or internal risk management reasons, is required to hedge a claim $\xi$ in a risk-conservative way relative…
In the paper a problem of risk measures on a discrete-time market model with transaction costs is studied. Strategy effectiveness and shortfall risk is introduced. This paper is a generalization of quantile hedging presented in [4].
This article introduces the notion of arbitrage for a situation involving a collection of investments and a payoff matrix describing the return to an investor of each investment under each of a set of possible scenarios. We explain the…
We introduce a fairly general, recombining trinomial tree model in the natural world. Market-completeness is ensured by considering a market consisting of two risky assets, a riskless asset, and a European option. The two risky assets…
We develop the basic theory of geometrically closed rings as a generalisation of algebraically closed fields, on the grounds of notions coming from positive model theory and affine algebraic geometry. For this purpose we consider several…
With recent advances in both responsive materials and fabrication techniques it is now possible to construct integrated functional structures, composed of both structural and active materials. We investigate the robust design of such…